Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
By Dmitry O. Kramkov, M. Sîrbu. 2007
46 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/3bdc6d529ed13b812906c1bc421efef468ec3551
How researchers see this paper
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In Finance
- Johannes Muhle‐Karbe
- Jan Kallsen
- Dirk Becherer
- Martin Schweizer
- Peter Tankov
- Marie-Amélie Morlais
- Gordan Zitkovic
- Walter Schachermayer
In Management Science and Operations Research
- Johannes Muhle‐Karbe
- Jan Kallsen
- Dirk Becherer
- Martin Schweizer
- Marie-Amélie Morlais
- Peter Tankov
- Gordan Zitkovic
- Walter Schachermayer
Citations in the corpus
- TRADING WITH SMALL PRICE IMPACT (2014, unknown): “Expectations under this measure correspond to utility indifference prices for infinitesimally small claims [15, 34, 37], whence the name “marginal pricing measure”.”
- Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging (2006, methodology): “Unlike the present article, [19] does not investigate exponential utility but considers utility functions whose domain is the positive real half line.”
- UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, methodology): “The q-optimal equivalent martingale measure from the previous discussion is needed as a first step in the derivation of asymptotic utility-based option prices and hedging strategies according to [29, 30].”